Sökning: "Black-Scholes"
Visar resultat 21 - 25 av 130 uppsatser innehållade ordet Black-Scholes.
21. Implied volatility expansion under the generalized Heston model
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. LÄS MER
22. Risker och möjligheter med teckningsoptioner : En kvalitativ studie om användning av teckningsoptioner i svenska riskkapitalägda startups
Kandidat-uppsats, Södertörns högskola/FöretagsekonomiSammanfattning : Syfte: Denna studie avser att undersöka vilka som är de huvudsakliga problemen och riskerna med teckningsoptioner för de anställda och företagen, samt eventuella åtgärder för att öka användbarheten. Teori: Studien utgår från teorier som kopplas till teckningsoptioner. LÄS MER
23. Finite Difference Methods for the Black-Scholes Equation
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. LÄS MER
24. When to expect decreasing implied volatilities
Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Matematiska institutionenSammanfattning : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. LÄS MER
25. Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility
Magister-uppsats, Umeå universitet/NationalekonomiSammanfattning : When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. LÄS MER